after a brief look at glib's configure.ac, it looks to me like the glib -> pkg-config "dependency" isn't really one, and could be fixed by some judicious use of 'dnl' (m4 comment-ization) in glib/configure.ac.
Which binary did you use? Is there an 'official' MinGW one?
I second the question: august?
for my own part, I didn't find a pkg-config binary from either mingw or gnuwin, so i used the binaries referenced on gtk.org:
http://ftp.gnome.org/pub/gnome/binaries/win32/dependencies/pkg-config-0.23-2...
this is where I got the glib and pkg-config
http://www.gtk.org/download-windows.html
I found that link here:
http://wiki.videolan.org/Win32CompileMSYSNew
Might be other useful binaries there too.
-a.